ROL_TypeP_InexactNewtonAlgorithm.hpp

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// @HEADER
// *****************************************************************************
//               Rapid Optimization Library (ROL) Package
//
// Copyright 2014 NTESS and the ROL contributors.
// SPDX-License-Identifier: BSD-3-Clause
// *****************************************************************************
// @HEADER
 
#ifndef ROL_TYPEP_INEXACTNEWTONALGORITHM_HPP
#define ROL_TYPEP_INEXACTNEWTONALGORITHM_HPP
 
#include "ROL_TypeP_Algorithm.hpp"
 
namespace ROL {
namespace TypeP {
 
template<typename Real>
class InexactNewtonAlgorithm : public TypeP::Algorithm<Real> {
private:
  Real t0_;
  bool initProx_;
 
  int maxit_;         
  Real rhodec_;       
  Real c1_;           
  Real sigma1_;       
  Real sigma2_;       
  Real sp_tol1_;
  Real sp_tol2_;
  Real sp_exp_;
  Real sp_tol_min_;
  std::string algoName_;
 
  ParameterList list_;
 
  int ls_nfval_, spgIter_, nhess_;
  int verbosity_;
  bool writeHeader_;
 
  using TypeP::Algorithm<Real>::pgstep;
  using TypeP::Algorithm<Real>::status_;
  using TypeP::Algorithm<Real>::state_;
 
  class NewtonObj : public Objective<Real> {
  private:
    const Ptr<Objective<Real>> obj_;
    const Ptr<Vector<Real>>    x_;
    const Ptr<Vector<Real>>    g_;
    Ptr<Vector<Real>>          pwa_, dwa_, Hx_;
    bool                       isHessApplied_;
    int                        nhess_;
 
  public:
    NewtonObj(const Ptr<Objective<Real>> &obj, const Vector<Real> &x, const Vector<Real> &g)
      : obj_(obj), x_(x.clone()), g_(g.clone()), pwa_(x.clone()),
        dwa_(g.clone()), Hx_(g.clone()), isHessApplied_(false), nhess_(0) {}
    void update(const Vector<Real> &x, UpdateType type, int iter) {
      isHessApplied_ = false;
    }
    Real value(const Vector<Real> &x, Real &tol) {
      const Real half(0.5), one(1);
      pwa_->set(x); pwa_->axpy(-one,*x_);
      if (!isHessApplied_) {
        obj_->hessVec(*Hx_,*pwa_,*x_,tol); nhess_++;
        isHessApplied_ = true;
      }
      dwa_->set(*Hx_);
      dwa_->scale(half);
      dwa_->plus(*g_);
      return dwa_->apply(*pwa_);
    }
    void gradient(Vector<Real> &g, const Vector<Real> &x, Real &tol) {
      const Real one(1);
      if (!isHessApplied_) {
        pwa_->set(x); pwa_->axpy(-one,*x_);
        obj_->hessVec(*Hx_,*pwa_,*x_,tol); nhess_++;
        isHessApplied_ = true;
      }
      g.set(*Hx_);
      g.plus(*g_);
    }
    void hessVec(Vector<Real> &hv, const Vector<Real> &v, const Vector<Real> &x, Real &tol) {
      obj_->hessVec(hv,v,*x_,tol); nhess_++;
    }
    int numHessVec(bool reset = true) {
      int nhess = nhess_;
      if (reset) nhess_ = 0;
      return nhess;
    }
    void setData(const Vector<Real> &x, const Vector<Real> &g) {
      x_->set(x);
      g_->set(g);
    }
  };
 
  void initialize(Vector<Real>          &x,
                  const Vector<Real>    &g,
                  Objective<Real>       &sobj,
                  Objective<Real>       &nobj,
                  Vector<Real>          &dg,
                  Vector<Real>          &px,
                  std::ostream &outStream = std::cout); 
 
public:
 
  InexactNewtonAlgorithm(ParameterList &list);
 
  using TypeP::Algorithm<Real>::run;
 
  void run( Vector<Real>          &x,
            const Vector<Real>    &g, 
            Objective<Real>       &sobj,
            Objective<Real>       &nobj,
            std::ostream          &outStream = std::cout) override;
 
  void writeHeader( std::ostream& os ) const override;
 
  void writeName( std::ostream& os ) const override;
 
  void writeOutput( std::ostream &os, bool write_header = false ) const override;
 
}; // class ROL::TypeP::InexactNewtonAlgorithm
 
} // namespace TypeP
} // namespace ROL
 
#include "ROL_TypeP_InexactNewtonAlgorithm_Def.hpp"
 
#endif